New EU rules could stall changes aimed at improving risk sensitivity of industry margin models
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
An alternative calculation of exposure at default that handles complex portfolios is presented
Bank sees higher charges while it reworks VAR engine
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
Deal will help data standardisation efforts and cut outsourcing risk in Simm calculation service
Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives
This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps.
A forum of industry leaders, including the sponsors of this report, discusses key industry concerns around the transition away from Libor, including how the discontinuation deadline will be impacted by the Covid‑19 pandemic, the benefits and challenges…
EC consultation seeks input on ‘cliff effects’ of including past losses
Standard-setter’s top staffer is moving on. He wants industry to do the same
Italian bank swallows 39bp capital hit in third quarter; 9bp through BTP moves
In this paper, the authors outline a simulation-based methodology for the generation of stressed transition probability matrixes under the structural credit risk framework.
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
A gradient-boosting decision-tree approach for firm failure prediction: an empirical model evaluation of Chinese listed companies
In this paper, the authors employ a gradient-boosting decision-tree method to improve firm failure prediction and explain how to better analyze the relative importance of each financial variable.
SwapAgent agrees to send standardised sensitivities for bilateral trades to AcadiaSoft for IM calls
Simm supporters say it is a work in progress, but more participants may slow that progress
Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation
This paper introduces a risk component called the credit index, that represents the systematic risk part of a portfolio by a list of macroeconomic variables.
Mathematical technique allows dealers to perform risk-sensitivity calculations 50 times faster
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
CVA and the equivalent bond